My team noticed a bug where sometimes when using "Undo" (Ctrl+Z usually) the BP they are working on disappears in the level. We were able to find a 100% repro case when utilizing the "Replace Actors With" option. I tested on a brand new clean project with just base 5.2.1 Unreal Engine (no modifications) on my personal machine and was still seeing the issue.
You can use any BP actors, you don't have to create new ones but new ones also cause this issue. The odd thing I noticed when testing is that if I follow the steps and replace the BP actor, then wait until Unreal does an Autosave, and then hit Ctrl+Z to undo it works perfectly.